Understanding and applying calibration discounts
For calibration to be effective, valuation analysts must support the adjustments needed to ensure that the calculated fair value is equal to the original market-observable transaction price. We’ll show how.
Format
Webcast
NASBA Field of Study
Finance
Level
Basic
CPE Credits
1.5
Instructor
Oksana Westerbeke
Availability
3 months
Product Number
WC3957397
Unravel calibration discounts
The Financial Accounting Standards Board (FASB) requires calibration of the valuation model and significant unobservable inputs to the latest transaction. But what approach should be taken when the model cannot be calibrated using reasonable inputs?
Join us as we discuss market evidence for calibration discounts, including private company convertible debt, convertible debt on public stock, and warrant transactions.
We will also explore calibration discounts and the appropriate methods to roll those discounts forward for subsequent measurement dates.
Key Topics
- Current guidance on calibration
- Calibration to equity transactions
- Private company convertible debt and evidence of calibration discounts
- Convertible debt issued by public companies and calibration
- Warrant transaction values vs. Black-Scholes theoretical prices
- SPAC warrants implied volatility phenomena
- Volatility haircuts
- Calibration discounts and value roll forwards
Learning Outcomes
- Recognize the latest guidance related to calibration discounts.
- Recognize situations where calibration discounts might be appropriate.
- Identify methods for incorporating calibration discounts.
- Identify methods for using calibration discounts for subsequent measurement dates.
Who Will Benefit
- Valuation professionals and management who perform valuation of debt, equity, warrants, and other financial instruments
- Auditors who review valuation of financial instruments
- CFOs and controllers of private companies responsible for reviewing valuation reports
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2 to 5 registrants
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